Power Market II - Modeling and Strategic Positioning

Abstract

Model to price options, analysis of sensitivities, delta and gamma neutral hedging of a portfolio, financial modelling of physical assets, evaluation of power plants using discounted cash flows or real options, management of a portfolio.Analysis of the markets and the environment, SWOT analysis, develop strategic options.

Objective

Part 1: Model to price options, analysis of sensitivities, delta and gamma neutral hedging of a portfolio, financial modelling of physical assets, evaluation of power plants using discounted cash flows or real options, management of a portfolio. Part 2: Analysis of the markets and the environment, SWOT analysis, develop strategic options.

Content

Part 1: Modelling Option pricing, Black-Scholes, sensitivity analysis („greeks“), modelling of power market prices, binominal trees, advanced modelling (mean reversion), derivatives on electricity market prices: swaps, caps and floors, swaptions, spread options, “exotic” options, hedging of an option portfolio, financial modelling of power plants, evaluation of power plants, contracts and grids using future cash-flows an risk, discounted cash flow, real options. Part 2: Strategic Positioning Initial position of utilities in a dynamic environment, expected market development, SWOT analysis, strategic positioning, strategic options and examples of selected European utilities, case studies. New: Portfolio Game, management of a virtual portfolio for 6 months, set-up of the basis hedge, market analysis using real market data, evaluation of the portfolio to the market, market risk (PaR), trading the hedge and adapt the portfolio periodically.

Resources